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st: Re: Panel VAR
----- Original Message -----
From: "Rob Williams" <firstname.lastname@example.org>
Sent: Thursday, April 24, 2003 2:06 PM
Subject: st: Panel VAR
> I'd like to use Stata to do a panel vector autoregression. The var and
> commands don't seem to be capable of doing a panel VAR. Does anyone know
> a user-written .ado file out there for panel VARs?
> Thanks for any help you can provide.
> -Rob Williams
There is a World Bank working paper entitled "Financial Development and
Dynamic Investment Behavior: Evidence From Panel Vector Autoregression" by
Inessa Love and Lea Zicchino (at:
http://econ.worldbank.org/files/20826_wps2913.pdf ) in which Stata was used.
They do report that the Stata programs used are available from the authors.
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